CARe 2018: Cross Sectional Yield Distributions

JD Long
2018-06-04

Disclaimer

* I am sharing my personal views not the views of RenaissanceRe Holdings, Ltd. or any of its subsidiary companies.
* Thought provoking only: The materials are provided for information purposes only, are in summary form, and thus do not include all information necessary for analysis. 
* This is not consulting: No representations or warranties are give as to the accuracy or completeness of the materials and no professional advice or guidance is given by the presentation. If you want to use these ideas, professional consultation should be sought. 
* This is not financial advice: No financial advice is being given nor any recommendation to invest in any financial product. Historical data is no assurance as to future results.

Source

All data, code, and examples: http://bit.ly/cas_yield.

Feel free to explore and create.

US MPCI Program Acres

plot of chunk unnamed-chunk-1 Source RMA Summary of Business

US MPCI Program Premium

plot of chunk unnamed-chunk-2 Source RMA Summary of Business

Yields Over Time

plot of chunk unnamed-chunk-3

Yields Over Time Cont

plot of chunk unnamed-chunk-4

Yields Over Time Cont

plot of chunk unnamed-chunk-5

What do we know?


Where Does it Break Down



Story time…

Claims Rates by Cov Level

plot of chunk unnamed-chunk-6

Yield & Rev by Coverage

plot of chunk unnamed-chunk-7

Historical Price Changes

plot of chunk unnamed-chunk-8

Price Changes with IL Yield

plot of chunk unnamed-chunk-9 IL Yield is Red

2008 Price Movement

plot of chunk unnamed-chunk-10

Oct 12, 2008 Yield Estimate

Does it matter? PDF

plot of chunk unnamed-chunk-11

Does it matter? CDF

plot of chunk unnamed-chunk-12

How'd we do?

Well… it depends on what matters

  • Ground Up
  • Quota Share
  • XoL

Source

All data, code, and examples: http://bit.ly/cas_yield.

Feel free to explore and create.